down_vol: Downside volatility
In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis
Description
Usage
Arguments
Details
View source: R/QuantAnalysis.R
Description
Downside volatility
Usage
1
down_vol(ret, freq, mar = 0)
Arguments
ret
data.frame containing returns
mar
minimal acceptable return to define downside, defualt is zero
Details
The ret data.frame is filtered to only include returns
below the mar. The resulting downside volatility is calculated from this
data.frame.
alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.
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Description Usage Arguments Details
View source: R/QuantAnalysis.R
Description
Downside volatility
Usage
1 | down_vol(ret, freq, mar = 0)
|
Arguments
ret |
data.frame containing returns |
mar |
minimal acceptable return to define downside, defualt is zero |
Details
The ret data.frame is filtered to only include returns
below the mar. The resulting downside volatility is calculated from this
data.frame.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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